Trend-Following Backtester · Guide · backtest 한국어
etf · US
Direxion Daily South Korea Bull 3X ETF backtest
10 trend-following strategies were compared on the full daily history of Direxion Daily South Korea Bull 3X ETF. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.5%, MDD -52.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.2%, drawdown -96.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.4%, MDD -75.2%, Sharpe 0.68, 66% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.6%p higher than buy and hold, while drawdown improves by 21.0%p (CAGR 8.5%, MDD -52.0%, exposure 14%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=21, exitN=60 |
25.4% | -75.2% | 0.68 | 0.34 | 20.7x | 35 | 66% |
| 볼린저 밴드 돌파 n=30, k=2 |
17.9% | -53.7% | 0.61 | 0.33 | 9.1x | 74 | 28% |
| SMA 크로스오버 fast=16, slow=39 |
19.5% | -83.4% | 0.61 | 0.23 | 10.9x | 94 | 48% |
| Supertrend period=23, mult=5 |
17.6% | -74.2% | 0.59 | 0.24 | 8.7x | 62 | 43% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=22, mult=2.2 |
14.7% | -64.8% | 0.54 | 0.23 | 6.3x | 88 | 30% |
| ROC 모멘텀 n=98, threshold=0.1 |
15.1% | -73.7% | 0.54 | 0.20 | 6.5x | 94 | 38% |
| EMA 크로스오버 fast=54, slow=266 |
14.5% | -80.9% | 0.53 | 0.18 | 6.2x | 9 | 32% |
| Parabolic SAR step=0.035, maxStep=0.14 |
14.3% | -79.2% | 0.52 | 0.18 | 6.0x | 314 | 51% |
| MACD fast=19, slow=61, signal=12 |
10.1% | -89.5% | 0.45 | 0.11 | 3.6x | 151 | 53% |
| ADX / DI 방향성 period=32, threshold=16 |
8.5% | -52.0% | 0.41 | 0.16 | 3.0x | 42 | 14% |
| Buy and hold | -0.2% | -96.1% | 0.41 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 21 days
- Sell — Sell when price breaks below the lowest low of the last 60 days